BFS 2002 Electronic Conference Proceedings

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Deadline for submissions: September, 30 2002.     Only PDF files will be accepted.

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Click on the title below for which you are submitting a paper. The papers are in alphabetical order by (original) presenter.


Stochastic Hyperbolic Dynamics for Infinite-dimensional Forward Rates and Option Pricing
Shin Ichi Aihara, Arunabha Bagchi

Why Distinguishing Jumps from Volatility is Difficult
Yacine Ait-Sahalia

Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition Between Market-Makers
Joăo Amaro de Matos, Paula Antăo

Pricing of Implied Volatility Derivatives: a Risk Neutral Model for Market Implied Volatility
Emanuele Amerio, Gianluca Fusai, Antonio Vulcano

Hedging Errors and Mispecified Volatility
Iliana Anagnou, Stewart Hodges

A mean-reverting stochastic volatility option-pricing model with an analytic solution
Henrik Andersson

Optimal Stopping Problems and Investment Models
Vadim Arkin, Alexander Slastnikov

Robbins-Monro Algorithm, Variance Reduction Technique
Bouhari Arouna

Smooth transition regression models in UK stock returns
Nektarios Aslanidis, Denise Osborn, Marianne Sensier

Optimal Portfolios with Monitoring, Private Benefits of Control, and Budget Constraints
Vladimir Atanasov

Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option
Anna Rita Bacinello

Optimal consumption rules in the presence of durable and perishable goods
Peter Bank, Nicole El Karoui, Frank Riedel

Discrete and continuous time approximations of the optimal exercise boundary of American options
Antonella Basso, Martina Nardon, Paolo Pianca

Spotting Special Spillovers
Dirk Baur, Robert Jung

Utility-Based Hedging and Valuation - a Constructive Approach via Reaction-Diffusion Systems
Dirk Becherer

Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
Andrea Berardi, Stefania Ciraolo, Michele Trova

The Tunisian stock market responses to macroeconomic announcements
Nejla Bergaoui, Abdelwahed Trabelsi

Two-Factor Convertible Bonds Valuation Using the Method of Characteristics / Finite Elements
Ana Bermudez, John Hatgioannides, Giovanni Barone-Adesi

Pricing and Hedging High-Dimensional American Options --- an Irregular Grid Approach
Steffan Berridge, Hans Schumacher

Minimal variance hedging for fractional Brownian motion
Francesca Biagini, Bernt Řksendal

Finite Dimensional Markovian Realizations for Stochastic Volatility Forward Rate Models
Tomas Björk, Camilla Landen, Lars Svensson

Option-Implied Risk Aversion Estimates: Robustness and Patterns
Robert Bliss, Nikolaos Panigirtzoglou

On optimization of dividend flow for a company with positive liquidation value
Elena Boguslavskaya

Stochastic targets with mixed diffusion processes
Bruno Bouchard

Multivariate Extremes at Work for Portfolio Risk Measurement
Eric Bouyé

LIBOR-dynamics calibration to market volatilites and swap-rate distributional distance from the lognormal family
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda

Implied Monte Carlo
Oliver Brockhaus

Option Models and Trading Information
Andrea Buraschi, Alexei Jiltsov

Option Contracts in Supply Chains
Apostolos Burnetas, Peter Ritchken

Implied Volatility Smiles
Jérôme Busca, Henri Berestycki, Rama Cont, Igor Florent

Executive Stock Options with Effort Disutility and Choice of Volatility
Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero

Closed Formulae for Super-Replication Prices with Discrete Time
Laurence Carassus, Emmanuel Gobet, Emmanuel Temam

Predictability and the Dynamics of Long Forward Rates
Andrew Carverhill

Mean-Variance Hedging with Proportional Transaction Costs
Ales Cerny

Stability tests for alpha and beta coefficients over bull and bear market conditions: evidence from the greek stock market
John Chalikias, Anna Skentzou

Production Planning and Inventory Investment for a Monopolistic Firm
Marie Chazal, Elyčs Jouini

Improper Stochastic Integrals in the Fundamental Theorems of Asset Pricing
Alexander Cherny, Albert Shiryaev

Feasible Volatility Smiles and their Implied Probability Distributions for Asset Prices
Iain Clark

Dynamics of implied volatility surfaces: an empirical study
Rama Cont, Jose da Fonseca

A Combinatorial Approach for Pricing Parisian Options
Massimo Costabile

Asset Pricing in a Neoclassical Model with Limited Participation
Qiang Dai

Matching and the estimated impact of interlisting
Ryan Davies

Markovian models for counterparty default risk and other default correlation products
Mark Davis

A note on completeness in "large financial markets"
Marzia De Donno

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Enrico De Giorgi

Optimal Design of the Guarantee for Defined Contribution Funds
Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Ownership Dynamics and Asset Pricing with a "Large Shareholder"
Peter DeMarzo, Branko Urosevic

CAPM Empirical Problems and the Distribution of Returns
Francois Desmoulins-Lebeault

Options' Implied PDFs: Addressing Theoretical Issues with a New Non-Parametric method and Empirical Data
George Dikos, Daniel Giamouridis

A Rating-based Model for Credit Derivatives
Raphael Douady, Monique Jeanblanc

Stochastic models for implied volatility surfaces
Valdo Durrleman, Rama Cont

The Defaultable Lévy Term Structure: Ratings and Restructuring
Ernst Eberlein, Fehmi Özkan

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions
Alexei V. Egorov, Haitao Li, Yuewu Xu

Properties of American Option Prices
Erik Ekström

Optimal security design and diversification in financial markets with non-tradeable risks
Nicole El Karoui, Pauline Barrieu

A Markov chain approximation scheme for an investment-consumption problem with intertemporal substitution and Lévy driven stock prices
Said Elghanjaoui, Kenneth Hvistendahl Karlsen

Learning under Ambiguity
Larry Epstein, Martin Schneider

Detecting and modeling tail dependence
Gianna Figŕ-Talamanca, Fabio Bellini

Affine Processes and Applications in Finance
Damir Filipovic, Darrell Duffie, Walter Schachermayer

Valuing Exotic Derivatives with Jump Diffusions: The Case of Basket Options
Dimitris Flamouris, Daniel Giamouridis

Modelling Dependent Defaults
Rüdiger Frey, Alexander McNeil

Optimal solutions to utility maximization and to the dual problem
Marco Frittelli

An Examination of Heterogeneous Beliefs with a Short Sale Constraint
Michael Gallmeyer, Burton Hollifield

A market model for illiquid bond options consistent with the swaption smile
Stefano Galluccio

Adaptive Binomial Model for Derivative Prices
Bin Gao

Differential Geometry of Equivalent Martingale Measures in an Incomplete Market
Yuan Gao, Kian Guan Lim, Kah Hwa Ng

How can asset allocation benefit from a complex piece of information ?
Nicolas Gaussel, Fabrice Baudoin

On the relation between approximation rates of stochastic integrals and properties of its integrands
Stefan Geiss, Christel Geiss

On Bachelier's predecessors
Hans-Joachim Girlich

Optimal strategies for a stable class of utility functions in a multi-factor framework
Martino Grasselli, Griselda Deelstra, Pierre-François Koehl

Some optimal stopping problems with non-trivial boundaries for pricing exotic options
Xin Guo

Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory
Mahmoud Hamada, Michael Sherris

Market equilibrium with coherent measures of risk
David Heath, Hyejin Ku

Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
Vicky Henderson

On The Equivalence of Floating and Fixed-strike Asian Options
Vicky Henderson, Rafal Wojakowski

On Pricing Kernels and Dynamic Portfolios
Philippe Henrotte

An Optimal Consumption Problem for Factor Dependent Models
Daniel Hernandez-Hernandez, Wendell H. Fleming

Initial Curves for Interest Rate Models: the Importance of Consistency
Stefano Herzel, Flavio Angelini

Option Price Comparisons in a Jump-Diffusion Model
David Hobson, Vicky Henderson

Default Risk with Managerial Control
James Hodder, Thaleia Zariphopoulou

Simulating the Evolution of the Implied Distribution
Stewart Hodges, George Skiadopoulos

The effect of nonnormality on the market model in the class of elliptical distributions
Jiro Hodoshima

The portfolio selection problem via Hellinger processes
Tom Hurd, Tahir Choulli

On the Error in the Monte Carlo Pricing of Some Familiar European Path-Dependent Options
Per Hörfelt

Implied Market Frictions and Term Structure of Interest Rates: The MinMax Approach.
Ioulia Ioffe, Eliezer Prisman

Robust portfolio selection problems
Garud Iyengar, Donald Goldfarb

The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory
Jens Jackwerth, David P. Brown

The Importance of the Loss Function in Option Pricing
Kris Jacobs, Peter Christoffersen

Optimization with random horizon
Monique Jeanblanc, Nicole El Karoui, Shaojuan Huang

On valuation before and after tax in "no arbitrage" models - tax neutrality in the discrete time model
Bjarne Astrup Jensen

Aggregation of heterogeneous beliefs and adjusted CCAPM
Elyčs Jouini, Clotilde Napp

To a theory of financial markets with friction
Yuri Kabanov , Christophe Stricker

The OAS Approach and the Martingale Measure for Mortgage Prepayment
Yusho Kagraoka

Estimating and interpreting zero coupon and forward rates: Australia, 1992 - 2001
Petko Kalev, Brett Inder

Risk management of non-maturing liabilities
Michael Kalkbrener, Jan Willing

Optimal portfolios for logarithmic utility
Jan Kallsen, Thomas Goll

Coupled Lattice Efficiency Analysis of Mortgage-backed Securities
Andrew Kalotay, Deane Yang

The Future of Energy Markets
Vince Kaminski

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows
Ron Kaniel, Julien Hugonnier

Probabilistic Aspects of Portfolio Analysis and Optimization
Ioannis Karatzas, Robert Fernholz

Black-Scholes formula for security markets with delayed response
Yuriy Kazmerchuk, Anatoly Swishchuk, Jianhong Wu

Forward Price Dynamics and Option Designs for Network Commodities
Chris Kenyon, Giorgos Cheliotis

Model Risk and Regulatory Capital
Jeroen Kerkhof, Bertrand Melenberg, Hans Schumacher

Efficient hedging in incomplete markets under model uncertainty
Michael Kirch

A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Irene Klein, Friedrich Hubalek, Josef Teichmann

Optimal portfolios with bounded Capital-at-Risk
Claudia Kluppelberg

Two-sided Estimates for Ruin Probability under Constant Interest Force: by Reduction from the Non-interest Case
Dimitrios Konstantinides, Qi He Tang, Gurami Tsitsiashvili

Modeling Growth Stocks via Size Distribution
Samuel Kou, Steve Kou

Default Boundary Problem
Alexander Kreinin, Ian Iscoe

Extremes of Multivariate Stationary Diffusions in Finance: A Data Analysis
Andreas Kunz

Game Contingent Claims in Incomplete Markets
Christoph Kühn

Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy
Peter Lakner, Monique Jeanblanc

Asymmetric Information and Imperfect Competition in a Continuous Time Multivariate Security Model
Guillaume Lasserre

Information neutrality in the stochastic differential utility
Ali Lazrak

Equilibrium Open Interest
Dietmar Leisen, Kenneth Judd

Hedging American call options with insufficient initial funds
Shlomo Levental, Anatolli V. Skorohod

Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates
Haitao Li, Yongmiao Hong

On the distributional distance between the LIBOR and the swap market models.
Jan Liinev, Damiano Brigo

Towards a self-consistent theory of stochastic volatility
Pierre-Louis Lions

Valuation of corporate bonds with stochastic default barrier
Chi-fai Lo, C.H. Hui, H.C. Lee

State Tameness: A New Approach for Credit Constraints
Jaime Londońo

Measuring Financial Cash Flow and Term Structure Dynamics
Cornelis A. Los

Time to Wealth Goals in Capital Accumulation
Leonard MacLean, William Ziemba, Yuming Li

Making Markov Martingales Meet Marginals: With Explicit Constructions
Dilip Madan, Marc Yor

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
Pascal Maenhout, Bernard Dumas

Waiting-times and returns in high-frequency financial data: an empirical study
Francesco Mainardi, Marco Raberto, Enrico Scalas

Estimation of the characteristics of jump of a general poisson-diffusion model
Cecilia Mancini

Nonlinear filtering and estimation of latent factors in short rate models
Pranab K. Mandal, Dmitri Danilov

Heavy Tails and Long Range Dependence in Subordinated Models
Carlo Marinelli, Svetlozar Rachev

Efficient HJM Approximations of LIBOR Market Models
Dunstan Marris, Gerald Salkin, Nicos Christofides, Allan Lane

Real Option Games with Incomplete Information and Spillovers
Spiros Martzoukos, Eleftherios Zacharias

Pricing the smile in a forward LIBOR market model
Fabio Mercurio, Damiano Brigo, Francesco Rapisarda

Optimal risk control under excess of loss reinsurance
Mnif Mohamed, Agnes Sulem

Change detection of stochastic volatility processes
Gábor Molnár-Sáska , Zsuzsanna Vágó, László Gerencsér

On Preferences and Arbitrage
Pierpaolo Montana

A valuation algorithm for incomplete models
Marek Musiela, Thaleia Zariphopoulou

Monte-Carlo approximation of minimum entropy measures
Laurent (Anh) Nguyen, Benjamin Jourdain

Bayesian model averaging when models are specified by moment conditions
Eldar Nigmatullin

A Jump-Diffusion Derivative Pricing Model Arising Within the Heath-Jarrow-Morton Framework
Christina Nikitopoulos, Carl Chiarella

Asset pricing using a form of evolution
Rimas Norvaisa

Microstructure and Asset Pricing
Maureen O'Hara, David Easley

Risk Based Valuation of CDO structures
Ludger Overbecjk

Optimal Supervision and Depositor Preference Laws
Henri Pagčs, Joăo Santos

Summary Statistics of Implied Probability Density Functions
Nikolaos Panigirtzoglou, Damien Lynch

Observational Equivalence of Discrete String Models and Market Models
Antoon Pelsser, Jeroen Kerkhof

Choice of fixed or floating interest rate debt
Svein-Arne Persson

Volatility forecasting performances of SVOL and AJD models for very volatile markets
Rosanna Pezzo, Maria-Cristina Uberti

A quantization algorithm for multidimensional stochastic control problems with applications to finance
Huyen Pham, Gilles Pages

The Price of Power
Craig Pirrong, Martin Jermakyan

Arbitrage in Continuous Complete Markets
Eckhard Platen

Risk sensitive portfolio optimization with transaction costs
Stanley Pliska, Tomasz Bielecki, Jean Philippe Chancelier, Agnes Sulem

Corporate Financial Policies and Performance Around Currency Crises
Vicente Pons, Arturo Bris, Yrjo Koskinen

A note on the pricing and hedging of volatility derivatives
Avraam Rafailidis, Sam Howison, Henrik Rasmussen

An Alternative Correlated Dynamics for Multivariate Option Pricing
Francesco Rapisarda, Damiano Brigo, Fabio Mercurio

Arbitrage Pricing Theory and Risk-neutral Measures
Miklos Rasonyi

Everything is not lost ... The Model Control Variate Methodology
Adil Reghai, Bernard Bergeron

Quadratic Volatility Smiles
Haim Reisman

Calibration of heavy-tailed economic time series
Zoltan Reppa, Laszlo Gerencser, Gyorgy Michaletzky

Optimal management of risks in defined-benefit pension funds
Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
Marcel Rindisbacher, Jerome Detemple, Rene Garcia

Pricing and Hedging in the Swaption Market
Peter Ritchken, Rong Fan, Anurag Gupta

A Class of Marked Point Processes for Modelling Electricity Prices
Andrea Roncoroni, Hélyette Geman

Coherent Risk Minimization of Derivatives in Multiperiod Models
Berend Roorda, Jacob Engwerda, Hans Schumacher

Dependent Defaults and Credit Migrations
Marek Rutkowski, Tomasz Bielecki

Valuation and Optimal Exercise Time for the Banxico Put Option
Patricia Saavedra, Begońa Fernández

Firm-Level Momentum: Theory and Evidence
Jacob Sagi, Mark Seasholes

Nonparametric tests for positive quadrant dependence
Olivier Scaillet, Michel Denuit

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Walter Schachermayer

Evolution of Portfolio Rules in Incomplete Markets
Klaus Reiner Schenk-Hoppé, Thorsten Hens

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Erik Schloegl

Credit Risk in a Random Field Context
Thorsten Schmidt

Endogenous interest rate dynamics in asset markets
John Schoenmakers, Oliver Reiß, Martin Schweizer

Optimal Lifetime Consumption-Portfolio Strategies in Incomplete Markets under Homothetic Recursive Preferences
Mark Schroder, Costis Skiadas

The Laplace transform approach to valuing exotic options: the case of the Asian option
Michael Schroeder, Peter Carr

Copula-Dependent Default Risk in Intensity Models
Philipp Schönbucher, Dirk Schubert

Dynamic minimization of worst conditional expectation of shortfall under partial information
Jun Sekine

On the dynamical programming equation of risk sensitive control problem associated to an optimal investment model
Shuenn-Jyi Sheu, Hidehiro Kaise

A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions
Gyoocheol Shim, Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou

The Market Prices of Risks in Fixed Income Markets
Kenneth Singleton, Qiang Dai

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
Ronnie Sircar, Thaleia Zariphopoulou

A New Approach to Modeling The Dynamics of Implied Distributions: Evidence and Theory from the S&P 500 Options
George Skiadopoulos, Nikolaos Panigirtzoglou

The Dynamics of Implied Distributions
George Skiadopoulos, Nikolaos Panigirtzoglou

Decisionmetrics: A decision based approach to econometric modelling
Spyros Skouras

Risk Sensitive Portfolio Optimization with Completely and Partially Observed Factors
Lukasz Stettner

Exponential Utility Maximization
Christophe Stricker, Yuri Kabanov

Decision Risk Reductions for Stock Indices
Wolfgang Stummer

Option Pricing on Stock Mergers or Acquisitions
Ajay Subramanian

Environment and Finance
Wojciech Szatzschneider, Monique Jeanblanc

Causality and Cointegration in Stock Markets: The Case of Latin America
Benjamin Miranda Tabak, Eduardo Jose Aruajo Lima

Hedging using simulation: a least squares approach
Claudio Tebaldi

On the Term Structure of Interest Rates
Josef Teichmann, Damir Filipovic

Monte Carlo Euler approximation of HJM term structure financial models
Raul Tempone, Georgios E. Zouraris, Thomas Björk, Anders Szepessy

Mean-Variance Hedging under Additional Market Information
Frank Thierbach

Loglinear stock valuation based on accounting information
Rex Thompson, Susan Riffe, Randy Beatty

A new algorithm for hedging large portfolios of derivative instruments
Stathis Tompaidis

Tax Management Strategies with Multiple Risky Assets
Stathis Tompaidis, Michael Gallmeyer, Ron Kaniel

Options on Bond Futures: Isolating the Risk Premium
Robert Tompkins

On the Malliavin approach to the computation of conditional expectations
Nizar Touzi, Bruno Bouchard

First-mover advantages and the strategic exercise of real options
Andrianos Tsekrekos

Entry, exit and activation probability in a two-player real options game
Andrianos Tsekrekos, Mark Shackleton, Rafal Wojakowski

Modelling Multivariate Returns
Reha Tutuncu, Stefano Herzel, Catalin Starica

Properties of options on several underlying assets
Johan Tysk, Svante Janson

Volatility time and properties of option prices
Johan Tysk, Svante Janson

Some Optimal Stopping Problems Concerning Maximum Processes
Mikhail Urusov

Boundaries of Predictability: Noisy Predictive Regressions
Rossen Valkanov, Walter Torous

A General Fractional White Noise Theory and Applications to Finance
John van der Hoek, Robert J. Elliott

Bounds for the price of discretely sampled arithmetic Asian options
Michčle Vanmaele, Jan Dhaene, Griselda Deelstra, Jan Liinev, Marc Goovaerts

Shortfall risk minimization in the binomial model
Tiziano Vargiolu, Gino Favero

Bond Market Clearing
Oldrich Alfons Vasicek

A Simple Theory of Asset Pricing Under Model Uncertainty
Tan Wang, Leonid Kogan

Estimating long range dependence: finite sample properties and confidence intervals
Rafal Weron

Nonsophisticated traders in a competitive securities market equilibrium
Gregory A. Willard, Mark Loewenstein

Hedging non-tradeable risk with instantaneous forward contracts
Rafal Wojakowski

Pricing Jump Risk with Utility Indifference
Lixin Wu, Min Dai

Hiring and Firing Fund Managers
Sam Wylie

Heston's Stochastic Volatility Model Applied to Foreign Exchange Options
Uwe Wystup

Pricing Asian Options in a Semimartingale Model
Mingxin Xu, Jan Vecer

Topologically Pseudo-complete System of Bond Price Processes, and Application to the LIBOR Market Model
Takashi Yasuoka

Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
Ali Bora Yigitbasioglu

Modeling Credit Risk with Partial Information
Yildiray Yildirim, Umut Cetin, Robert Jarrow, Philip Protter

Prices and Portfolio Choices in Financial Markets: Theory and Experimental Evidence
William Zame, Peter Bossaerts, Charles Plott

Utility Maximising Entropy and Thermodynamic Equilibrium
Tomasz Zastawniak, Wojciech Slomczynski

Asset and Liability Management for Insurance Policies with Guarantees
Stavros Zenios, Andrea Consiglio, David Saunders

VaR Approximation
Ziyu Zheng, Denis Talay

Capital Growth with Security
William Ziemba, Leonard MacLean, Yonggan Zhao, Rafael Sanegre

Optimal consumption from investment and random endowment in incomplete semimartingale markets
Gordan Zitkovic, Ioannis Karatzas

Weighted local time for fractional Brownian motion and applications to finance
Bernt Řksendal, Yaozhong Hu, Donna Mary Salopek